Why am I unable to tether my Surface Pro 4 to my USB connected phone?

Cannot tether Surface Pro 4 to USB connected phone
I cannot make my new Surface Pro 4 connect to the internet through a USB connected phone. I can make it work with WiFi (though not without setting up every time) but I prefer the security of being wired.
My old laptop, also with Windows 10, always tethers to my USB phone internet automatically, very quickly and with no problems. My new, very expensive, Surface Pro 4 will not connect at all and when I go to the Control Panel Network and Sharing Center to try to connect manually, the SP4 will not detect a USB connected internet device. I tried to use the troubleshooter but that only tells me, "You have chosen not to connect to any of the available wireless networks". That is correct, I am trying to connect with a wire (USB connected phone) just like I do with my old laptop. Both are running Windows 10 with all updates.

You didn't say, if it is a Windows Phone it is only by WiFi.
You don't have to set it up every time. Turn Bluetooth on, both devices. Connect to the phones Wi-Fi without touching it.
The phone is not broadcasting the WiFi, this BT announcing it. You will see what I mean